Impact Of Derivatives On The Volatility And Liquidity Of The Underlying

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Impact of Derivatives on the Volatility and Liquidity of the Underlying

Author : Saurabh Kumar
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)

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Book Synopsis Impact of Derivatives on the Volatility and Liquidity of the Underlying by : Saurabh Kumar

Download or read book Impact of Derivatives on the Volatility and Liquidity of the Underlying written by Saurabh Kumar and published by . This book was released on 2002 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: It has been almost one year since exchange-based option trading on individual stocks began in the Indian market. Considering that this is a structural change, it would be interesting to note its impact on the spot market. An analysis suggests that in certain stocks both volatility and returns in the spot market have declined after options trading began. Volumes in the spot market declined in most cases, post listing. Regulators and market participants have been interested in observing the impact of the listing of options on the spot market, especially in terms of volatility. For instance, the 1987 crash is widely blamed on the excessive use of financial derivatives. Therefore, a fundamental concern is whether speculation in the option market gives rise to higher volatility in the underlying asset market. Another concern among empirical researchers has been the effect of introduction of options on volumes. The options market provides an alternative arena for speculators. For instance, assuming that speculators move from the spot to the options markets, there could be a drop in traded volumes in the former, assuming that other demand factors do not change. An empirical study of the Indian stock markets to examine the effects of derivatives on the liquidity and volatility of the underlying asset over the period of the last twelve months suggests that there is nothing to support the theory that the introduction of options has led to a rise in trading interest in the spot market.

The Impact of Derivatives on the Volatility of Turkish Stock Market

Author : Aysegul Cimen
Publisher :
ISBN 13 :
Total Pages : 12 pages
Book Rating : 4.:/5 (13 download)

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Book Synopsis The Impact of Derivatives on the Volatility of Turkish Stock Market by : Aysegul Cimen

Download or read book The Impact of Derivatives on the Volatility of Turkish Stock Market written by Aysegul Cimen and published by . This book was released on 2019 with total page 12 pages. Available in PDF, EPUB and Kindle. Book excerpt: The interaction among futures and spot markets has been one of the most important issues of the financial markets since the launch of stock index futures by Kansas City Board of Trade in 1982. The main characteristics of derivatives such as having lower transaction costs, higher leverage, higher liquidity and higher flexibility compared to spot markets make them attractive for investors. Besides, derivatives trading are crucial for financial system participants in order to diversify portfolio and minimise risks. The aim of this paper is to emphasize the importance of derivative securities by providing evidence from an emerging stock market, Turkey. In order to emphasize the need for derivatives in the Turkish market, the impact of introduction of index futures and index options trading on the underlying spot market volatility are empirically analysed. Conditional and unconditional volatility of Borsa Istanbul 30 Index is examined using GARCH model starting from its first trade day of January 2, 1997.

Impacts of Derivative Markets on Spot Market Volatility and Their Persistence

Author : Chulwoo Han
Publisher :
ISBN 13 :
Total Pages : 11 pages
Book Rating : 4.:/5 (13 download)

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Book Synopsis Impacts of Derivative Markets on Spot Market Volatility and Their Persistence by : Chulwoo Han

Download or read book Impacts of Derivative Markets on Spot Market Volatility and Their Persistence written by Chulwoo Han and published by . This book was released on 2014 with total page 11 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this article, I investigate the impacts of futures and options markets on the volatility of the underlying market with a focus on their persistence over time. Empirical study yields several interesting results that often contrast with previous findings. it suggests that the impacts on the spot market volatility depends on the quality of new information generated by derivatives trading. Futures market reduces spot market volatility by providing new, material information, but options market generates noisy information which results in increase in volatility and decrease in its sensitivity to price change. While the impact by futures persists, that of options mostly disappears as the market matures. This is perhaps because futures market is mainly driven by informed, experienced participants, while options market attracts new, inexperienced investors. It would be worth revisiting other markets with the methods in this study and testing validity of the conclusions made in previous studies.

Quantifying the Effects of New Derivative Introduction on Exchange Volatility, Efficiency and Liquidity

Author : Shaen Corbet
Publisher :
ISBN 13 :
Total Pages : 132 pages
Book Rating : 4.:/5 (13 download)

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Book Synopsis Quantifying the Effects of New Derivative Introduction on Exchange Volatility, Efficiency and Liquidity by : Shaen Corbet

Download or read book Quantifying the Effects of New Derivative Introduction on Exchange Volatility, Efficiency and Liquidity written by Shaen Corbet and published by . This book was released on 2014 with total page 132 pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis investigates the effects of the introduction of new financial derivative products on exchange volatility, efficiency and liquidity. The derivatives under primary investigation are Exchange Traded Funds (ETFs) and Contracts for Difference (CFDs). These products offer a cheap, tax-efficient and speedy method for increasing or decreasing market exposure to price changes in the related primary asset. By facilitating faster and shorter-term trading, these products may increase market liquidity and/or increase market volatility for the related primary asset. The thesis builds a cross-country database of new-derivative-markets opening dates, and investigates the key features of prices and returns for related primary assets before and after the opening of these derivative markets. The database covers 16 countries in the CFD investigation, 21 commodity markets in the ETF investigation, and related data as available (daily closing prices, trading volumes, bid-ask quotes) in each of them. The key price and return features investigated include bid-ask spreads, trading volumes (both of derivatives and related primary assets), and daily return autocorrelation, variance, skewness and kurtosis. This thesis also considers a separate, but related, research problem. It extends and empirically applies a liquidity-indicator model for the Eurozone created by the Bank of England (BOE) and developed further by the European Central Bank (ECB) by including commodity liquidity, and uses this extended model to investigate shifting investor behaviour based on changing market dynamics. Similar to the investigation of the CDF and EFT markets, this investigation is concerned with market stability and liquidity in a changed environment (in this case, the key change is the introduction of the euro currency).

Introduction to Derivative Securities, Financial Markets, and Risk Management, an (Third Edition)

Author : Robert A Jarrow
Publisher :
ISBN 13 : 9789811292507
Total Pages : 0 pages
Book Rating : 4.2/5 (925 download)

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Book Synopsis Introduction to Derivative Securities, Financial Markets, and Risk Management, an (Third Edition) by : Robert A Jarrow

Download or read book Introduction to Derivative Securities, Financial Markets, and Risk Management, an (Third Edition) written by Robert A Jarrow and published by . This book was released on 2024-07-06 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The third edition updates the text in two significant ways. First, it updates the presentation to reflect changes that have occurred in financial markets since the publication of the 2nd edition. One such change is with respect to the over-the-counter interest rate derivatives markets and the abolishment of LIBOR as a reference rate. Second, it updates the theory to reflect new research related to asset price bubbles and the valuation of options. Asset price bubbles are a reality in financial markets and their impact on derivative pricing is essential to understand. This is the only introductory textbook that contains these insights on asset price bubbles and options.

The Impact of a Dealer's Failure on OTC Derivatives Market Liquidity During Volatile Periods

Author : Larry D. Wall
Publisher :
ISBN 13 :
Total Pages : 44 pages
Book Rating : 4.:/5 (318 download)

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Book Synopsis The Impact of a Dealer's Failure on OTC Derivatives Market Liquidity During Volatile Periods by : Larry D. Wall

Download or read book The Impact of a Dealer's Failure on OTC Derivatives Market Liquidity During Volatile Periods written by Larry D. Wall and published by . This book was released on 1996 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Futures Trading and Spot Market Volatility in India

Author : Pretimaya Samanta
Publisher : LAP Lambert Academic Publishing
ISBN 13 : 9783847373360
Total Pages : 92 pages
Book Rating : 4.3/5 (733 download)

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Book Synopsis Futures Trading and Spot Market Volatility in India by : Pretimaya Samanta

Download or read book Futures Trading and Spot Market Volatility in India written by Pretimaya Samanta and published by LAP Lambert Academic Publishing. This book was released on 2012-01 with total page 92 pages. Available in PDF, EPUB and Kindle. Book excerpt: Derivatives in the securities markets were launched mainly with the twofold objective of risk transfer and to enhance liquidity in the underlying cash market and thereby ensuring better market efficiency. In the late 1990s, various derivative instruments were introduced in the equity segment of major markets worldwide. It further complicated the volatility behavior of these markets as derivatives opened new avenues for hedging and speculation. Since futures trading encourage speculation, the debate on the impact of speculators on the cash market volatility intensified with the introduction of futures trading. This constitutes the main research problem of this study and the objectives have been set out in accordance to this phenomenon of the derivatives market. The current research work examines the effect of the introduction of futures trading on the volatility of the underlying cash market in India. The standard univariate GARCH model has been used to capture the time-varying nature of volatility and volatility clustering phenomenon in the data. This research study adds a new dimension to the existing literature on futures trading and will be useful to all the market participants.

Derivatives and Hedge Funds

Author : Stephen Satchell
Publisher : Springer
ISBN 13 : 1137554177
Total Pages : 416 pages
Book Rating : 4.1/5 (375 download)

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Book Synopsis Derivatives and Hedge Funds by : Stephen Satchell

Download or read book Derivatives and Hedge Funds written by Stephen Satchell and published by Springer. This book was released on 2016-05-18 with total page 416 pages. Available in PDF, EPUB and Kindle. Book excerpt: Over the last 20 years hedge funds and derivatives have fluctuated in reputational terms; they have been blamed for the global financial crisis and been praised for the provision of liquidity in troubled times. Both topics are rather under-researched due to a combination of data and secrecy issues. This book is a collection of papers celebrating 20 years of the Journal of Derivatives and Hedge Funds (JDHF). The 18 papers included in this volume represent a small sample of influential papers included during the life of the Journal, representing industry-orientated research in these areas. With a Preface from co-editor of the journal Stephen Satchell, the first part of the collection focuses on hedge funds and the second on markets, prices and products.

The Impact of H-Share Derivatives on the Underlying Equity Market

Author : Steven Shuye Wang
Publisher :
ISBN 13 :
Total Pages : 47 pages
Book Rating : 4.:/5 (129 download)

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Book Synopsis The Impact of H-Share Derivatives on the Underlying Equity Market by : Steven Shuye Wang

Download or read book The Impact of H-Share Derivatives on the Underlying Equity Market written by Steven Shuye Wang and published by . This book was released on 2008 with total page 47 pages. Available in PDF, EPUB and Kindle. Book excerpt: We conjecture that an introduction of the Hong Kong Hang Seng Chinese Enterprise Stock Index (H-share Index) futures induces additional speculating activities in the underlying equities, leading to an increase in volatility and volume of the underlying stocks. Whereas, a subsequent introduction of H-share index options increases the level of informed trading and opens up opportunities for speculative and arbitrage activities using futures directly against options. These futures and options trading activities are much cheaper and more efficient than using the underlying stocks, leading to a significant decline in spot market volatility and volume. Our results are consistent with these arguments. We also find that derivative trading does not change the liquidity of H-share constituent stocks. Further tests based on the difference-in-difference approach confirm that the above findings are robust.

Advances in Finance and Stochastics

Author : Klaus Sandmann
Publisher : Springer Science & Business Media
ISBN 13 : 9783540434641
Total Pages : 346 pages
Book Rating : 4.4/5 (346 download)

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Book Synopsis Advances in Finance and Stochastics by : Klaus Sandmann

Download or read book Advances in Finance and Stochastics written by Klaus Sandmann and published by Springer Science & Business Media. This book was released on 2002-04-23 with total page 346 pages. Available in PDF, EPUB and Kindle. Book excerpt: In many areas of finance and stochastics, significant advances have been made since this field of research was opened by Black, Scholes and Merton in 1973. This volume contains a collection of original articles by a number of highly distinguished authors, on research topics that are currently in the focus of interest of both academics and practitioners.

An Introduction to Wavelets and Other Filtering Methods in Finance and Economics

Author : Ramazan Gençay
Publisher : Elsevier
ISBN 13 : 0080509223
Total Pages : 383 pages
Book Rating : 4.0/5 (85 download)

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Book Synopsis An Introduction to Wavelets and Other Filtering Methods in Finance and Economics by : Ramazan Gençay

Download or read book An Introduction to Wavelets and Other Filtering Methods in Finance and Economics written by Ramazan Gençay and published by Elsevier. This book was released on 2001-10-12 with total page 383 pages. Available in PDF, EPUB and Kindle. Book excerpt: An Introduction to Wavelets and Other Filtering Methods in Finance and Economics presents a unified view of filtering techniques with a special focus on wavelet analysis in finance and economics. It emphasizes the methods and explanations of the theory that underlies them. It also concentrates on exactly what wavelet analysis (and filtering methods in general) can reveal about a time series. It offers testing issues which can be performed with wavelets in conjunction with the multi-resolution analysis. The descriptive focus of the book avoids proofs and provides easy access to a wide spectrum of parametric and nonparametric filtering methods. Examples and empirical applications will show readers the capabilities, advantages, and disadvantages of each method. - The first book to present a unified view of filtering techniques - Concentrates on exactly what wavelets analysis and filtering methods in general can reveal about a time series - Provides easy access to a wide spectrum of parametric and non-parametric filtering methods

The Effect of Derivatives Trading on the Underlying Spot Volatility

Author : Johnni Ulrich Jacobsen
Publisher :
ISBN 13 :
Total Pages : 158 pages
Book Rating : 4.:/5 (767 download)

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Book Synopsis The Effect of Derivatives Trading on the Underlying Spot Volatility by : Johnni Ulrich Jacobsen

Download or read book The Effect of Derivatives Trading on the Underlying Spot Volatility written by Johnni Ulrich Jacobsen and published by . This book was released on 2010 with total page 158 pages. Available in PDF, EPUB and Kindle. Book excerpt: Therefore conclude that derivatives trading do affect the underlying volatility and speculators are the market participants that affect volatility the most.

Education Bill [H.L.]

Author : Great Britain. Parliament. House of Lords
Publisher :
ISBN 13 : 9780108736445
Total Pages : 4 pages
Book Rating : 4.7/5 (364 download)

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Book Synopsis Education Bill [H.L.] by : Great Britain. Parliament. House of Lords

Download or read book Education Bill [H.L.] written by Great Britain. Parliament. House of Lords and published by . This book was released on 1994 with total page 4 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Effects of Volatility on Underlying and Derivative Assets

Author : Juho Kanniainen
Publisher :
ISBN 13 : 9789521514425
Total Pages : 125 pages
Book Rating : 4.5/5 (144 download)

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Book Synopsis Effects of Volatility on Underlying and Derivative Assets by : Juho Kanniainen

Download or read book Effects of Volatility on Underlying and Derivative Assets written by Juho Kanniainen and published by . This book was released on 2005 with total page 125 pages. Available in PDF, EPUB and Kindle. Book excerpt:

International Convergence of Capital Measurement and Capital Standards

Author :
Publisher : Lulu.com
ISBN 13 : 9291316695
Total Pages : 294 pages
Book Rating : 4.2/5 (913 download)

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Book Synopsis International Convergence of Capital Measurement and Capital Standards by :

Download or read book International Convergence of Capital Measurement and Capital Standards written by and published by Lulu.com. This book was released on 2004 with total page 294 pages. Available in PDF, EPUB and Kindle. Book excerpt:

The Financial Crisis Inquiry Report

Author : Financial Crisis Inquiry Commission
Publisher : Cosimo, Inc.
ISBN 13 : 1616405414
Total Pages : 692 pages
Book Rating : 4.6/5 (164 download)

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Book Synopsis The Financial Crisis Inquiry Report by : Financial Crisis Inquiry Commission

Download or read book The Financial Crisis Inquiry Report written by Financial Crisis Inquiry Commission and published by Cosimo, Inc.. This book was released on 2011-05-01 with total page 692 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Financial Crisis Inquiry Report, published by the U.S. Government and the Financial Crisis Inquiry Commission in early 2011, is the official government report on the United States financial collapse and the review of major financial institutions that bankrupted and failed, or would have without help from the government. The commission and the report were implemented after Congress passed an act in 2009 to review and prevent fraudulent activity. The report details, among other things, the periods before, during, and after the crisis, what led up to it, and analyses of subprime mortgage lending, credit expansion and banking policies, the collapse of companies like Fannie Mae and Freddie Mac, and the federal bailouts of Lehman and AIG. It also discusses the aftermath of the fallout and our current state. This report should be of interest to anyone concerned about the financial situation in the U.S. and around the world.THE FINANCIAL CRISIS INQUIRY COMMISSION is an independent, bi-partisan, government-appointed panel of 10 people that was created to "examine the causes, domestic and global, of the current financial and economic crisis in the United States." It was established as part of the Fraud Enforcement and Recovery Act of 2009. The commission consisted of private citizens with expertise in economics and finance, banking, housing, market regulation, and consumer protection. They examined and reported on "the collapse of major financial institutions that failed or would have failed if not for exceptional assistance from the government."News Dissector DANNY SCHECHTER is a journalist, blogger and filmmaker. He has been reporting on economic crises since the 1980's when he was with ABC News. His film In Debt We Trust warned of the economic meltdown in 2006. He has since written three books on the subject including Plunder: Investigating Our Economic Calamity (Cosimo Books, 2008), and The Crime Of Our Time: Why Wall Street Is Not Too Big to Jail (Disinfo Books, 2011), a companion to his latest film Plunder The Crime Of Our Time. He can be reached online at www.newsdissector.com.

Derivatives

Author : Robert E. Whaley
Publisher : John Wiley & Sons
ISBN 13 : 0470086386
Total Pages : 962 pages
Book Rating : 4.4/5 (7 download)

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Book Synopsis Derivatives by : Robert E. Whaley

Download or read book Derivatives written by Robert E. Whaley and published by John Wiley & Sons. This book was released on 2007-02-26 with total page 962 pages. Available in PDF, EPUB and Kindle. Book excerpt: Robert Whaley has more than twenty-five years of experience in the world of finance, and with this book he shares his hard-won knowledge in the field of derivatives with you. Divided into ten information-packed parts, Derivatives shows you how this financial tool can be used in practice to create risk management, valuation, and investment solutions that are appropriate for a variety of market situations.